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Assessing property risk In Australian commercial mortgage-backed securities

Chikolwa, Bwembya (2008) Assessing property risk In Australian commercial mortgage-backed securities. Pacific Rim Property Research Journal, 14(1), pp. 3-26.

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Abstract

This paper investigates how property risk in Australian Commercial Mortgage-Backed Securities (CMBS) issued between 2000 and 2005 can be assessed and reported in a more systematic and consistent approach to be easily understood by institutional investors. Our framework shows that assessing and reporting property risk in Australian CMBSs, which are primarily backed by direct property assets, under the headings of investment quality risk, covenant strength risk, and depreciation and obsolescence risk can easily be done. Rating agencies can adopt a more systematic and consistent approach towards reporting of assessed property risk in CMBS. Issuers and institutional investors can examine the perceived consistency and appropriateness of the rating assigned to a CMBS issue by providing inferences concerning property risk assessment

Impact and interest:

1 citations in Scopus
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ID Code: 19158
Item Type: Journal Article
Additional Information: The contents of this journal can be freely accessed online via the journal’s web page (see hypertext link). Other SSRN papers and download stats at author link below
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Keywords: commercial mortgage backed securities, property risk, debt service coverage ration, loan-to-value ratio
ISSN: ISSN 1444-8921
Subjects: Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > BANKING FINANCE AND INVESTMENT (150200) > Finance (150201)
Australian and New Zealand Standard Research Classification > COMMERCE MANAGEMENT TOURISM AND SERVICES (150000) > COMMERCIAL SERVICES (150400) > Real Estate and Valuation Services (150403)
Divisions: Past > QUT Faculties & Divisions > Faculty of Built Environment and Engineering
Past > Schools > School of Urban Development
Copyright Owner: Copyright 2008 Pacific Rim Real Estate Society
Deposited On: 26 Mar 2009 08:40
Last Modified: 29 Feb 2012 23:52

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